This Windy x Windam trailer explains what the title refers to, but unfortunately it does so in Japanese and is therefore a bit hard to parse. It appears that "Windy" is a term for basic combat, and "Windam" is used to denote super attacks, which decrement the "Windam Gauge." More interesting than the name discussion, we think, is the fact that wow, this game looks nice. Are those painted backgrounds? More than being simply an Izuna vehicle, Windam looks like a potentially high-quality DS fighting game.
It even features a (sort of) strategic element. The vertical gauge seems to decrement when a character makes a move that doesn't connect, and refills very quickly. In a way, it's sort of like the action points used in SRPGs, or like a slightly turn-based system that limits what you can do before you attack (thus switching the turn). Or maybe we're seeing too much in it.